Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0060 |
| Annualized Std Dev | 0.3969 |
| Annualized Sharpe (Rf=0%) | 0.0150 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3653.0000 |
| NAs | 1.0000 |
| Minimum | -0.1752 |
| Quartile 1 | -0.0100 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0105 |
| Maximum | 0.3289 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0006 |
| Stdev | 0.0250 |
| Skewness | 0.6918 |
| Kurtosis | 16.8363 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0173 |
| Gain Deviation | 0.0202 |
| Loss Deviation | 0.0192 |
| Downside Deviation (MAR=210%) | 0.0216 |
| Downside Deviation (Rf=0%) | 0.0172 |
| Downside Deviation (0%) | 0.0172 |
| Maximum Drawdown | 0.7169 |
| Historical VaR (95%) | -0.0372 |
| Historical ES (95%) | -0.0580 |
| Modified VaR (95%) | -0.0272 |
| Modified ES (95%) | -0.0272 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-15 | 2009-03-10 | NA | -0.7169 | 3366 | 761 | NA |
| 1999-08-19 | 2000-01-04 | 2000-02-08 | -0.1979 | 93 | 72 | 21 |
| 2000-02-09 | 2000-02-29 | 2000-05-01 | -0.1458 | 50 | 13 | 37 |
| 1999-02-02 | 1999-02-22 | 1999-04-09 | -0.1196 | 38 | 11 | 27 |
| 1999-04-12 | 1999-04-14 | 1999-04-26 | -0.0753 | 8 | 2 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 10.8 | 2.4 | 2.9 | -3.8 | 1.6 | -2.2 | NA | 0 | 2.3 | 0 | -4.7 | -1.2 | 7.7 |
| 2000 | 1.2 | 4.9 | 0 | 6.7 | 2.6 | -1 | -0.5 | 2 | 1 | 4.3 | 0 | -10.2 | 10.4 |
| 2001 | -3.3 | 1.1 | 2.3 | 4.5 | 4.3 | 0 | 2.2 | 0 | -6.8 | -2.4 | 2.4 | 2.4 | 6.2 |
| 2002 | 0 | 2.3 | 0 | -0.4 | 0 | 0 | 0 | -8 | -8.4 | 0 | 0 | -5 | -18.5 |
| 2003 | 4.8 | -2.3 | -0.1 | 0 | 1.1 | 1.9 | NA | NA | NA | NA | NA | NA | 5.3 |
| 2004 | NA | 8.5 | 24.4 | -4.7 | -1.1 | 0 | 0 | -0.5 | 8.6 | -4 | 0 | -1.1 | 30.6 |
| 2005 | 2.1 | -3 | -3.2 | 3.6 | 1.8 | -1.8 | 0.1 | 5.1 | 1.5 | 2.5 | -2.2 | NA | 6.2 |
| 2006 | NA | -2.9 | 0 | -3 | 0 | NA | NA | 0 | 3.1 | 0.2 | 0 | NA | -2.7 |
| 2007 | NA | NA | NA | NA | NA | -12.1 | NA | NA | -0.7 | 0.5 | -1.1 | -2.4 | -15.3 |
| 2008 | 0.6 | -0.9 | -0.7 | -0.5 | 0 | -1.5 | 1.5 | 2.6 | 1.2 | 2 | -1 | -9.9 | -7 |
| 2009 | -5.2 | 0 | 2.6 | 18.5 | 1.8 | -3.5 | -3.2 | -1 | 2 | -0.9 | 3.4 | -2.4 | 10.6 |
| 2010 | -0.2 | 2 | -1.5 | -1 | 0.3 | -0.2 | -0.5 | 1 | -0.3 | 0.5 | 3.3 | -1.3 | 1.9 |
| 2011 | 0.1 | 0.1 | 0.7 | -0.3 | 0.7 | 0.7 | 3.7 | -3.2 | 1.8 | -2.6 | 3.8 | -0.7 | 4.7 |
| 2012 | 1.6 | 1.7 | 1.8 | -0.6 | -1.8 | 2.9 | -1.1 | 1.4 | 1.3 | -0.9 | 0.3 | 1.4 | 8.3 |
| 2013 | 0.1 | 0 | 0.5 | -2.6 | -0.7 | 0.3 | 2.2 | -0.1 | 0 | 0.2 | -0.2 | 1 | 0.6 |
| 2014 | 0.5 | 0 | 0.6 | 1.5 | 5.2 | 3.4 | 1.3 | -0.2 | 1 | 2.8 | 0.5 | 0.7 | 18.5 |
| 2015 | -2.1 | 0.5 | -0.8 | 0.2 | 0.8 | 1.4 | 0 | -1.7 | -1 | 0.1 | 0.3 | -4 | -6.2 |
| 2016 | -4.4 | 1.2 | 0.9 | 0.9 | 1.1 | 2.2 | 1.3 | 0.7 | -1.5 | -0.5 | 2.4 | -0.8 | 3.4 |
| 2017 | 1.1 | 1.2 | 1 | 1.6 | 1 | -1.2 | 3.1 | -0.1 | 0.5 | 0 | -0.4 | -0.2 | 7.8 |
| 2018 | 1.3 | -2.1 | 2.1 | -1.9 | -0.8 | -1.2 | 1.4 | -0.4 | -0.5 | 0 | 0.2 | 11.1 | 9.1 |
| 2019 | 3.9 | 0 | 0.7 | 0.1 | -0.4 | 0.3 | -1.3 | 0 | 1.1 | 4.6 | 0.5 | 2.8 | 12.7 |
| 2020 | -2 | -3 | -3.8 | -1.7 | 0.3 | 1.1 | -0.3 | -0.3 | -0.2 | -1.4 | 2.5 | 0.9 | -7.7 |
| 2021 | 1.3 | 1.9 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
